The HP Multi Jet Fusion (MJF) technology is a relatively recent addition to powder bed fusion additive manufacturing (AM) techniques. It differentiates itself from selective laser sintering (SLS) technology through the use of fusing and detailing agents to control part geometry, and the use of a planar infrared radiation (IR) source that sweeps over the powder bed to initiate the sintering process. Depending on the printing methodology, AM processes can introduce mechanical property anisotropy that is dependent on print orientation. In the case of MJF-fabricated parts, there is a general disagreement over the influence of print orientation on tensile mechanical properties in the literature. In this work, MJF-fabricated PA12 (AM PA12) is printed at various orientations and characterised in terms of tensile and compressive mechanical properties. The orientations have been selected to take into account the alignment of the IR source sweep direction to the test load. We observe that orientating parts towards the vertical direction for printing tends to favour enhanced tensile mechanical properties. The anisotropy in mechanical properties is attributed to more complete polymer powder fusion as a result of the increased number of IR source sweeps when parts are orientated towards the vertical direction. Both tensile and compressive stress–strain data were used as experimental data input for calibrating the Elastic–Plastic with combined hardening (EPC) material model in the commercial finite element analysis (FEA) package—Abaqus. We demonstrate that the EPC material is a suitable material model for the FEA of AM PA12.